When adding examples, please only post subversions, when it's done realistically or when it's exaggerated.

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Exceptions

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Anime and Manga

The movie version of Ghost in the Shell was very good about this. The animators said in the Making Of featurette that they experimented with shooting different substances to get reactions. This shows in the scene where a long line of bullets are shot into a concrete wall, making no sparks at all - but huge spider-web pits.

Better yet, it showed a stream of bullets chewing through a pillar of reinforced concrete, generating only a shower of debris - until they started hitting the metallic rods in the core of the pillar, producing a shower of sparks in one of the few situations where it's actually somewhat realistic.

The fan film Grayson has this with the Joker shooting a sub-machine gun at Robin holding a thick metal plate to deflect the bullets. The effect was achieved by setting off firecrackers attached to the plate.

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Film - Live-Action

Hong Kong movie The Bodyguard From Beijing goes to extremes with this: in the final shootout, bullets make sparks when they hit...a sofa.

The Last of the Mohicans averts this: the few times that bullets are actually shown hitting something (usually a stone cliff face) the only indication of it is a puff of dust and rock debris. Perhaps sparks wouldn't have felt 18th century-ish?

The Jean-Claude Van Damme film Hard Target featured bullets that sparked... when hitting trees.

During the jail break in the opening of The Goonies, Francis Fratelli dumps gasoline in a ring around the local jail. When the cops attempt to pursue, Francis shoots the gasoline to create a big ring of flame to cover the escape.

In the movie Tank Girl, while the Water & Power goons are raiding the complex, they have bullets that spark while shooting sand.

Bullet sparks are seen when Jimmy kills the publican inside the hotel in Red Hill. Even odder, Jimmy is using a shotgun, so these sparks are being generated by buckshot.

Iron Man has a likely unintentional exaggeration, in that one of the bullet-spark pyrotechnics on the first Iron Man suit can visibly be seen sparking for several seconds after the bullet allegedly struck. The sparks come from the area just below the Arc Reactor during one of the shots of him tanking a wall of gunfire at the cave mouth.

Literature

Lampshaded and talked about during the Battle Tech Expanded Universe novel Black Dragon, which opens with a Heroic Bloodshed movie about a Bruce Lee Clone, taking place in the Battletech universe itself. The unreality of the movie is mentioned by a designated demoman, who asks if "anyone's ever seen marble spark like that." For those not aware, marble can be relatively hard or soft as minerals go, but it is uniformly brittle and would more likely shatter from a gunshot instead of spark.

Live Action TV

The Mythbusters tested this myth and proved that it wouldn't work, though they did manage to replicate the visual effect by firing paintballs filled with fireworks.

When R. Lee Ermey fired two BMG rounds at a steel plate they produced sparks when viewed in slow motion, although not at regular speed.

The shooting-gas-tanks-make-them-explode extension is verbally deconstructed by Michael Westen's voice-over in an episode of Burn Notice.

Michael: Unless the car is on fire you'll just spill a few of bucks worth of gas. An explosion requires something extra, like a few bags of acetone peroxide taped to the gas tank.

Machine-gunning Jaffa in Stargate SG-1 tends to make their armor spark rather spectacularly. Granted, we have no idea what metals the armor is made of, so it might be justified.

Mission: Impossible: Copious bullet sparks are kicked during the Railing Kill in The Teaser of "The pawn". Judging from the position of the sparks, it looks like none of the bullets could actually have hit the victim.

Video Games

Call of Duty: Modern Warfare 2 uses this as part of a game mechanic - weapons equipped with the "FMJ" attachment, which allows them to penetrate thicker surfaces, make obvious spark-showers when shot at walls and whatnot as a visual indication that they have the attachment.

Machineguns and low caliber autocannons in Mechwarrior Living Legends only spark when hitting certain metallic surfaces, mostly just on the armor of mechs, tanks, and aerospace fighters. You can actually temporarily blind enemy pilots by blasting their cockpit canopy with machine guns; the sparks will obscure their vision. Shooting them on other surfaces results in material-unique effects, such as small spurts of dust when shooting concrete on an aircraft runway.

Happens in Team Fortress 2, when you shoot a metal surface. The same thing happens when you use melee weapons. However, for some reason hitting a wall with a melee weapon will cause sparks and leave a bullet hole - said melee weapons can include baseball bats, whisky bottles, or even boxing gloves.

Halo as a franchise likes its bullet holes or insane ricochets, but it is also more than happy to make bullet impacts against a wall or target into a spark. The only exceptions tended to be organic materials such as dirt, plants, and the odd rock, but even those would often throw more sparks than they rightly should. Concrete throws out a lot more bullet sparks than its composition should suggest—Halo: Combat Evolved is quite bad about this in particular. This is all for the sake of the player, especially in multiplayer—it lets them know, within some reason, if their shots are hitting or missing, since shields glow when hit, and other players or enemies flinch and their armor sparks when shot.

In Rise of the Triad, shooting immovable objects (such as stone columns) with a bullet weapon will produce a spark with every bullet. Taken to its logical extreme when you fire a machine gun (a weapon with unlimited ammo, as with all other bullet weapons in the game) at a column and get a shower of sparks.

Played straight to the point of exaggeration in First Encounter Assault Recon. Any shot fired at a metal surface will produce a fireworks-class shower of sparks, and some go flying emitting more sparks, as if the bullet just spawned in a burning magnesium strip.

Real Life

This can happen with magnesium and depleted uranium ammunition. Commonly used in "spotting rifles" attached to recoilless rifles—once you see sparks on the target, you fire the main weapon. This is because magnesium and uranium burn very easily, so the bullet material's sparking on its own.

There are visible sparks upon impact in this real life video, taken at night. The shooters likely used surplus ammo that had a steel core. Steel on steel would generate a spark.

Because steel core ammo can spark and can damage the range backstop/lead trap, it is prohibited at many indoor shooting ranges due to being a potential fire hazard.

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